E-LIB Suche - Ergebnisse für: Borovkova, Svetlana

1

Assessing the impact of jumps in an option pricing model: A..:

Volk-Makarewicz, Warren ; Borovkova, Svetlana ; Heidergott, Bernd
European Journal of Operational Research. 298 (2022) 2 - p. 740-751 , 2022

Link: https://doi.org/10.1016/..

2

Three-factor commodity forward curve model and its joint P ..:

Ladokhin, Sergiy ; Borovkova, Svetlana
Energy Economics. 101 (2021) - p. 105418 , 2021

Link: https://doi.org/10.1016/..

3

An ensemble of LSTM neural networks for high‐frequency stoc..:

Borovkova, Svetlana ; Tsiamas, Ioannis
Journal of Forecasting. 38 (2019) 6 - p. 600-619 , 2019

Link: https://doi.org/10.1002/..

4

Electricity price modeling with stochastic time change:

Borovkova, Svetlana ; Schmeck, Maren Diane
Energy Economics. 63 (2017) - p. 51-65 , 2017

Link: https://doi.org/10.1016/..

5

News, volatility and jumps: the case of natural gas futures:

Borovkova, Svetlana ; Mahakena, Diego
Quantitative Finance. 15 (2015) 7 - p. 1217-1242 , 2015

Link: https://doi.org/10.1080/..

6

Implied volatility in oil markets:

Borovkova, Svetlana ; Permana, Ferry J.
Computational Statistics & Data Analysis. 53 (2009) 6 - p. 2022-2039 , 2009

Link: https://doi.org/10.1016/..

7

Commodity volatility modelling and option pricing with a po..:

Anderluh, Jasper ; Borovkova, Svetlana
The European Journal of Finance. 14 (2008) 2 - p. 91-113 , 2008

Link: https://doi.org/10.1080/..

8

Consistency and asymptotic normality of least squares estim..:

Borovkova, Svetlana ; Lopuhaä, Hendrik P. ; Ruchjana, Budi Nurani
Statistica Neerlandica. 62 (2008) 4 - p. 482-508 , 2008

Link: https://doi.org/10.1111/..

9

Seasonal and stochastic effects in commodity forward curves:

Borovkova, Svetlana ; Geman, Helyette
Review of Derivatives Research. 9 (2006) 2 - p. 167-186 , 2006

Link: https://doi.org/10.1007/..

10

Detecting market transitions and energy futures risk manage..:

Borovkova, Svetlana
The European Journal of Finance. 12 (2006) 6-7 - p. 495-512 , 2006

Link: https://doi.org/10.1080/..

11

Analysis and Modelling of Electricity Futures Prices:

Borovkova, Svetlana ; Geman, Helyette
Studies in Nonlinear Dynamics & Econometrics. 10 (2006) 3 - p. , 2006

Link: https://doi.org/10.2202/..

12

Limit Theorems for Functionals of Mixing Processes with App..:

Borovkova, Svetlana ; Burton, Robert ; Dehling, Herold
Transactions of the American Mathematical Society. 353 (2001) 11 - p. 4261-4318 , 2001

Link: https://www.jstor.org/st..

13

Three-factor commodity forward curve model and its joint P ..:

Ladokhin, Sergiy ; Borovkova, Svetlana
Ladokhin , S & Borovkova , S 2021 , ' Three-factor commodity forward curve model and its joint P and Q dynamics ' , Energy Economics , vol. 101 , 105418 , pp. 1-15 . https://doi.org/10.1016/j.eneco.2021.105418. , 2021

Link: https://research.vu.nl/e..

14

An ensemble of LSTM neural networks for high-frequency stoc..:

Borovkova, Svetlana ; Tsiamas, Ioannis
Borovkova , S & Tsiamas , I 2019 , ' An ensemble of LSTM neural networks for high-frequency stock market classification ' , Journal of Forecasting , vol. 38 , no. 6 , pp. 600-619 . https://doi.org/10.1002/for.2585. , 2019

Link: https://research.vu.nl/e..

15

Electricity price modeling with stochastic time change:

Borovkova, Svetlana ; Schmeck, Maren Diane
Borovkova , S & Schmeck , M D 2017 , ' Electricity price modeling with stochastic time change ' , Energy Economics , vol. 63 , pp. 51-65 . https://doi.org/10.1016/j.eneco.2017.01.002. , 2017

Link: https://research.vu.nl/e..